This paper examines the joint time series of the S&P 500 index and its options with a two-
factor Hawkes jump-diffusion model that captures jump propagation (ie, the phenomenon in …

This paper studies alternative distributions for the size of price jumps in the S&P 500 index.
We introduce a range of new jump-diffusion models and extend popular double-jump …

We examine time-varying jump risk for modeling stock price dynamics and cross-sectional
option prices. We explore jump-diffusion specifications with two independently evolving …

This paper examines the empirical performance of jump diffusion models of stock price
dynamics from joint options and stock markets data. The paper introduces a model with …

We provide closed-form solutions for a continuous time, Markov-modulated jump diffusion
model in a general equilibrium framework for options prices under a variety of jump diffusion …

We use a novel pricing model to filter times series of diffusive volatility and jump intensity
from S&P 500 index options. These two measures capture the ex-ante risk assessed by …

This study performs a joint analysis of jump activity for commodities and their respective
volatility indexes; it also compares the results thereof to those for equities. Exploiting a …

Standard empirical investigations of jump dynamics in returns and volatility are fairly
complicated due to the presence of latent continuous-time factors. We present a new …

We build a new class of discrete-time models that are relatively easy to estimate using
returns and/or options. The distribution of returns is driven by two factors: dynamic volatility …

This paper introduces a class of two counters of jumps option pricing models. The stock
price follows a jump-diffusion process with price jumps up and price jumps down, where …